World

OECD.StatExtracts includes data and metadata for OECD countries and selected non-member economies.

United Kingdom

http://www.statistics.gov.uk/

United States

Federal Reserve Economic Data – FRED (includes URL-based API)
http://www.census.gov/
http://www.bls.gov/
http://www.ssa.gov/
http://www.treasury.gov/
http://www.sec.gov/
http://www.economagic.com/
http://www.forecasts.org/

Foreign Exchange

OANDA Historical Exchange Rates
Dukascopy – Historical FX prices; XML and CSV
ForexForums Historical Data – Historical FX downloads via Amazon S3
GAIN Capital – Historical FX rates (in ZIP format)

Equity and Equity Indices

http://finance.yahoo.com/
http://www.iasg.com/managed-futures/market-quotes
http://kumo.swcp.com/stocks/
Kenneth French Data Library
http://unicorn.us.com/advdec/
http://marketcapitalizations.com/

Fixed Income

LIBOR rates
FRB: H.15 Selected Interest Rates
Barclays Capital Live (institutional clients only)

Options and Implied Volatility

http://www.ivolatility.com/
http://www.optionmetrics.com/
http://www.livevol.com/
http://www.historicaloptiondata.com/

Futures

http://www.simiansavants.com/cmedata.shtml
http://www.cmegroup.com/market-data/index.html
http://www.tradingblox.com/tradingblox/free-historical-data.htm
http://www.quandl.com

Commodities

https://globalderivatives.nyx.com/nl/commodities/nyse-liffe
LIFFE Commodity Derivatives – 15 min delay; free registration

Multiple Asset Classes and Miscellaneous

OHIO STATE UNIVERSITY DEPARTMENT OF FINANCE: The Financial Data Finder
Google Finance APIs and Tools
QuantNet Master List
RBS Databank
http://www.eoddata.com/
Robert Shiller Online Data

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